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accessRights:"restricted"
subject:"Monte Carlo simulation"
~person:"Juneja, Januj Amar"
~type:"article"
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Monte Carlo simulation
Dynamic affine term structure models
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Juneja, Januj Amar
Tsionas, Efthymios G.
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A computational analysis of the tradeoff in the estimation of different state space specifications of continuous time affine term structure models
Juneja, Januj Amar
- In:
Computational economics
60
(
2022
)
1
,
pp. 173-220
Persistent link: https://www.econbiz.de/10013262506
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How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?
Juneja, Januj Amar
- In:
Computational management science
18
(
2021
)
1
,
pp. 73-97
Persistent link: https://www.econbiz.de/10012487048
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